Smart Alpha: active management with unstable and latent factors

DOI10.1080/14697688.2020.1868558zbMath1479.91354OpenAlexW3127310451MaRDI QIDQ5014225

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Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1868558

zbMATH Keywords

portfolio optimisationfactor investingtime-varying factorssparse latent factorszoo of factors

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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• Evaluating latent and observed factors in macroeconomics and finance
• Sparse PCA by iterative elimination algorithm
• An exact approach to sparse principal component analysis
• Eigenvalue Ratio Test for the Number of Factors
• Generalized power method for sparse principal component analysis
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Inference Concerning the Number of Factors in a Multivariate Nonparametric Relationship
• Regularization and Variable Selection Via the Elastic Net
• Determining the Number of Factors in Approximate Factor Models
• A Direct Formulation for Sparse PCA Using Semidefinite Programming

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